Background: Mexican Americans are at increased risk of developing mild cognitive impairment (MCI) and Alzheimer’s disease compared to non-Hispanic whites. This study sought to examine the relationship between vascular risk, depression, and cognition in Mexican American elders. Methods: Data from 470 (390 normal controls, 80 MCI patients) Mexican Americans enrolled in the Health and Aging Brain among Latino Elders (HABLE) study were used. The cardiovascular risk was assessed by the Framingham Risk Score. Cognition was assessed with a neuropsychological battery, and depression was assessed based on scores from the Geriatric Depression Scale (GDS). ANOVAs were utilized to determine the differences in neuropsychological scores of normal controls with and without depression and CVD risk (low vs. high). Follow-up logistic regression was conducted to determine MCI risk. Results: The results of this study indicated that comorbid depression and a high CVD risk were associated with poorer cognitive performance in Mexican Americans. Depressed women with high CVD risk were more likely to have executive dysfunction, language deficits, and poorer global cognition than nondepressed women with a high CVD risk. In Mexican American men, those with a high vascular risk and depression were more likely to have executive dysfunction and poorer immediate memory than the nondepressed high-risk group. Higher GDS scores (OR = 1.10; 95% CI 1.02–1.10, p = 0.001) and higher vascular risk scores (OR = 1.05; 95% CI 1.02–1.10, p = 0.001) significantly predicted MCI status in Mexican Americans. Conclusion: The results of this study indicated that comorbid depression and a high CVD risk were associated with poorer cognitive performance and increased risk of MCI in Mexican Americans.